I played briefly with the milkshape importer some time back. From what I remember, it allows you to pull the models from the game into milkshape 3d and then export/save as them into .lwo/.lws files ready for lightwave. On the downside, I lost a lot of data with it (textures, animations, parameters,etc) as all I was left with was the basic model.
That aside however, you should be able to build in 3ds max and then export. I think a friend of mine models in 3ds and then finalises in lightwave, I'll see if I can get him to drop in...